To Tonguez: Gilles de Rais wasn't the marquis de sade... He was what middle-age people called an ogre, what we call now a pedophile and a serial-killer; so a true villain; but he was dead centuries before Sade was born.
Some fictitious villains I would cite:
Woodiver from Tschaï (Jack Vance). Truly loathable crook, and worse.
From the books of Vance also, each of the five Demon Princes. Especially Howard Alan Treesong, the greatest of the five.
Vladimir Harkonnen from Dune. An archetype in itself.
Darth Vader from Star Wars. An archetype like Vladie.
The Humans in Shaan (I doubt anyone else than me know about them, however, so I'll sum up: colonial army with cyberpunk/space opera grade technology, lead by a fascist sect of racial suprematist using genetically modified "godmen").
Jarlaxle (to keep my post somewhat on-topic, I had to place a D&D villain here: he's the best one I know).
Edit: Oh yeah, I forgot the Mule from Asimov's Foundation books. An interesting villain.